Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0479
Annualized Std Dev 0.2381
Annualized Sharpe (Rf=0%) -0.2010

Row

Daily Return Statistics

Close
Observations 3980.0000
NAs 1.0000
Minimum -0.1356
Quartile 1 -0.0051
Median 0.0007
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0060
Maximum 0.2242
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0150
Skewness -0.0668
Kurtosis 27.2865

Downside Risk

Close
Semi Deviation 0.0111
Gain Deviation 0.0112
Loss Deviation 0.0133
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0111
Downside Deviation (0%) 0.0111
Maximum Drawdown 0.7622
Historical VaR (95%) -0.0218
Historical ES (95%) -0.0384
Modified VaR (95%) -0.0168
Modified ES (95%) -0.0168
From Trough To Depth Length To Trough Recovery
2007-01-04 2020-03-23 NA -0.7622 3578 3327 NA
2005-05-31 2005-11-22 2006-02-01 -0.1367 171 124 47
2006-05-10 2006-05-24 2006-09-01 -0.1239 81 11 70
2006-11-07 2006-11-14 2006-11-30 -0.0475 17 6 11
2006-09-05 2006-09-14 2006-10-04 -0.0412 22 8 14

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA 0 0 0.4 0.6 0.4 -0.2 0.7 0.2 2
2006 0.3 1 -0.4 0.7 2.8 -0.7 -0.5 0.9 0.8 0 1.9 0.7 7.7
2007 1.1 -0.5 1.6 0.3 0.4 0.9 -0.2 1.8 0.7 -1.7 0.7 1.5 6.8
2008 0.5 0.8 2.6 1.5 1.6 -1.3 0 0 3.8 2.3 -4.3 6.7 14.8
2009 -2.2 -2.7 0.9 -0.1 5.5 1.1 -0.5 0 -2 -4.3 0.1 -1 -5.3
2010 2.2 -0.2 3.3 -1.8 -0.4 -1.9 0.3 1.9 0.8 0.3 1.1 0.9 6.7
2011 1.8 0.2 0.8 1.2 -1.1 0.9 0.7 -0.6 -3.9 -2.7 0.9 0.2 -1.8
2012 1.6 0.5 1.4 -1.4 -2.6 2.3 0.9 0 0.7 1.7 -0.5 1.8 6.5
2013 0.6 -0.1 -0.3 -0.7 -0.8 0.8 0.6 -0.2 1 -0.5 1.6 0.2 2.1
2014 -1.2 0.5 0.8 0.7 0.3 0.6 -1.1 -0.2 -0.9 1.2 -1.1 -1.2 -1.7
2015 -0.6 0.1 -0.4 0.5 -0.2 0.2 0.5 -0.9 0.3 0.9 0.1 -0.3 0.1
2016 0.4 2.6 -0.1 -0.1 0 0 -0.2 0.5 0.6 -0.6 -0.1 0.4 3.5
2017 0.5 0.6 -0.1 -0.2 0.5 -0.3 0 0.7 0.2 0.1 -0.7 0.2 1.5
2018 0.3 -2.2 1 0 0.5 0.4 0.1 -0.5 0.4 1.3 0.5 0.1 1.8
2019 -0.4 0.4 0.3 0.1 -0.7 -0.4 -0.6 0.7 -0.7 0.3 0.1 0.1 -0.8
2020 -1.4 -4 -2.9 -1.1 1.4 0.1 -0.2 0.7 0.8 -1.1 1.2 0.7 -5.6
2021 -0.3 1.7 0.7 NA NA NA NA NA NA NA NA NA 2.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2005-05-26  25   SPY    120.  0.0054   0.0064   0.038   -0.0114   0.0696    0.110   -0.149 GLD    41.7 -0.0043  -0.0069 
2 2005-05-27  25.0 SPY    120.  0.0017   0.0095   0.053   -0.0032   0.0654    0.121   -0.142 GLD    41.9  0.0046   0.0055 
3 2005-05-31  25.0 SPY    119. -0.0064  -0.0025   0.0322  -0.0144   0.0587    0.117   -0.134 GLD    41.6 -0.0055   0.0007 
4 2005-06-01  25.0 SPY    120.  0.0085   0.0084   0.0352  -0.0055   0.0691    0.124   -0.141 GLD    41.5 -0.00290 -0.00480
5 2005-06-02  25.0 SPY    121.  0.0022   0.0113   0.0357  -0.0038   0.0674    0.157   -0.124 GLD    42.1  0.0137   0.0055 
6 2005-06-03  25.0 SPY    120. -0.0051   0.0008   0.0226  -0.021    0.0719    0.148   -0.129 GLD    42.2  0.0017   0.0115 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart